Advances in nanotechnology have brought innovations to cancer therapy. Nanoparticle-based anticancer drugs have achieved great success from bench to bedside. However, insufficient therapy efficacy due to various physiological barriers in the body remains a key challenge. To overcome these biological barriers and improve the therapeutic efficacy of cancers, multistage self-assembled nanomaterials with advantages of stimuli-responsiveness, programmable delivery, and immune modulations provide great opportunities. In this review, we describe the typical biological barriers for nanomedicines, discuss the recent achievements of multistage self-assembled nanomaterials for stimuli-responsive drug delivery, highlighting the programmable delivery nanomaterials, in situ transformable self-assembled nanomaterials, and immune-reprogramming nanomaterials. Ultimately, we perspective the future opportunities and challenges of multistage self-assembled nanomaterials for cancer immunotherapy.